Handbook of Economic Forecasting part 9 docx

... indicator models In a series of papers [Garcia-Ferer et al. ( 198 7), Zellner and Hong ( 198 9), Zellner, Hong and Gulati ( 199 0), Zellner, Hong and Min ( 199 1), Min and Zellner ( 199 3)] Zellner and coauthors ... Bayesian Forecasting 63 Table 3 Comparison of forecast RMSE in Shoesmith ( 199 5) Horizon 1 quarter 8 quarters 20 quarters VA R/I1 1 .33 1.00 1.14 ECM 1.28 0. 89 0 .91 BVA...

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... linear combination of the elements of  Y (his exam- ple of such a function of interest is a discounted sum) will be distributed as univariate Student-t, so that expectations of such linear combinations ... substitutes are available for analytic evaluation of expectations of functions of interest. But prior to the advent of inexpensive desktop computing in the mid- 198 0’s,...

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... E. ( 195 3). “Equation of state cal- culations by fast computing machines”. The Journal of Chemical Physics 21, 1087–1 092 . Miller, P.J., Runkle, D.E. ( 198 9). “The U.S. economy in 198 9 and 199 0: ... techniques”. Journal of Econometrics 49, 275–304. Zellner, A., Min, C.K. ( 199 5). “Gibbs sampler convergence criteria”. Journal of the American Statistical Association 90 , 92 1 92...

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... an estimate of the long run variance S constructed using a heteroskedas- ticity and autocorrelation consistent covariance matrix estimator [Newey and West ( 198 7, 199 4), Andrews ( 199 1), Andrews ... discussed in the next section. 7. A small number of models, nested, Part II Leading competitors of MSPE for the most part are encompassing tests of various forms. Theoretical result...

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... use the stationary bootstrap of Politis and Romano ( 199 4a, 199 4b).Themain difference between the block bootstrap and the stationary bootstrap of Politis and Romano ( 199 4a, PR) is that the former ... u}−F  u|Z t−1 ,  θ T  1  Z t−1  v  . 9 Andrews (2002) shows first order validity and asymptotic refinements of the equivalent k-step estimator of Davidson and MacKinnon ( 199...

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... of the estimation scheme used, the contribution of parameter estimation error is asymptotically negligible. 3.3. Out -of- sample implementation of Corradi and Swanson tests We now outline out -of- sample ... bootstrap We now show how the Künsch ( 198 9) block bootstrap can be used in the context of a recursive estimation scheme. At each replication, draw b blocks (with replacement) o...

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... Swanson models. The test is based on an out -of- sample version of the integrated conditional mo- ment (ICM) test of Bierens ( 198 2, 199 0) and Bierens and Ploberger ( 199 7). Summarizing, assume that the objective ... feature of predictive ability tests which has already been addressed in the consistent specification testing literature [see, e.g., Bierens ( 198 2, 199 0), Bierens and P...

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... Association 55, 299 –305. Nerlove, M., Wage, S. ( 196 4). “On the optimality of adaptive forecasting . Management Science 10, 207–2 29. Nerlove, M., Grether, D.M., Carvalho, J.L. ( 197 9). Analysis of Economic ... ( 199 9). “Multivariate detrending under common trend restrictions: Implications for business cycle research”. Journal of Economic Dynamics and Control 23, 99 7–1028. K...

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... Pagano ( 197 8), Troutman ( 197 9), Gladyshev ( 196 1), Osborn ( 199 1), Franses ( 199 4) and Boswijk and Franses ( 199 6). Applications of PAR models include, for example, Birchenhall et al. ( 198 9), Novales ... Ahn and Reinsel ( 199 4), Clements and Hendry ( 199 3), Lin and Tsay ( 199 6) and Christoffersen and Diebold ( 199 8). The last of these, in particular, shows that the incorpora...

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... Terlizzese ( 199 2), Guiso, Japelli and Pistaferri (2002)], the Netherlands’ VSB Panel Survey [Das and Donkers ( 199 9)], the US Survey of Eco- nomic Expectations [Dominitz and Manski ( 199 7a, 199 7b)] and ... ( 199 3). 15 U.S. Survey of Economic Expectations [Dominitz and Manski ( 199 7a, 199 7b)]. 16 U.S. Health and Retirement Survey [Juster and Suzman ( 199 5), Hurd and McGarry (200...

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